Crypto Rolling Efficiency

Time series Plots

Window : 360

• Delta H computed over rolling 360 days

• Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 360

  • q90: 0.17481
  • q95: 0.197805
  • q99: 0.241003

ADA

### LTC ### BNB ### BTC ### DOGE ### XRP ### TRX ### ETH

Window : 720

• Delta H computed over rolling 720 days

• Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 720

  • q90: 0.1326
  • q95: 0.1478
  • q99: 0.176903

XRP

### BNB ### BTC ### DOGE ### ADA ### ETH ### TRX ### LTC

Window : 1080

• Delta H computed over rolling 1080 days

• Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 1080

  • q90: 0.11901
  • q95: 0.1314
  • q99: 0.154401

BTC

### TRX ### ADA ### LTC ### ETH ### BNB ### XRP ### DOGE

Summary Tables

Window : 360

Ticker	days_above_q90	days_above_q95	days_above_q99	ticker_appearances	prop_above_q90	prop_above_q95	prop_above_q99
ADA	1165	1041	668	1648	0.7069175	0.6316748	0.4053398
BNB	1308	1159	942	1648	0.7936893	0.7032767	0.5716019
BTC	1410	1328	1153	1648	0.8555825	0.8058252	0.6996359
DOGE	1534	1499	1427	1648	0.9308252	0.9095874	0.8658981
ETH	1241	1092	751	1648	0.7530340	0.6626214	0.4557039
LTC	1361	1262	1064	1648	0.8258495	0.7657767	0.6456311
TRX	1537	1463	1258	1648	0.9326456	0.8877427	0.7633495
XRP	1484	1386	1140	1648	0.9004854	0.8410194	0.6917476

Window : 720

Ticker	days_above_q90	days_above_q95	days_above_q99	ticker_appearances	prop_above_q90	prop_above_q95	prop_above_q99
ADA	781	678	367	1288	0.6063665	0.5263975	0.2849379
BNB	977	882	706	1288	0.7585404	0.6847826	0.5481366
BTC	1287	1268	1204	1288	0.9992236	0.9844720	0.9347826
DOGE	1244	1236	1230	1288	0.9658385	0.9596273	0.9549689
ETH	1269	1247	1169	1288	0.9852484	0.9681677	0.9076087
LTC	1214	1187	1035	1288	0.9425466	0.9215839	0.8035714
TRX	1233	1207	1153	1288	0.9572981	0.9371118	0.8951863
XRP	1265	1253	1229	1288	0.9821429	0.9728261	0.9541925

Window : 1080

Ticker	days_above_q90	days_above_q95	days_above_q99	ticker_appearances	prop_above_q90	prop_above_q95	prop_above_q99
ADA	746	660	429	928	0.8038793	0.7112069	0.4622845
BNB	518	448	355	928	0.5581897	0.4827586	0.3825431
BTC	928	923	905	928	1.0000000	0.9946121	0.9752155
DOGE	928	928	928	928	1.0000000	1.0000000	1.0000000
ETH	928	928	928	928	1.0000000	1.0000000	1.0000000
LTC	928	928	919	928	1.0000000	1.0000000	0.9903017
TRX	928	928	928	928	1.0000000	1.0000000	1.0000000
XRP	928	928	928	928	1.0000000	1.0000000	1.0000000